PUBLICATIONS

• EDHEC Publications
• Academics Publications

EDHEC PUBLICATIONS

Reactions to the EDHEC Study “Assessing the Quality of Stock Market Indices”

A recent publication by the EDHEC Risk and Asset Management Research Centre assessed the quality of well-known stock market indices and concluded that investors need to be more careful when using benchmarks for either asset allocation or performance measurement. In particular, the study argued that stock market indices are neither neutral choices of risk
factors nor efficient portfolios. The study also proposed a number of pragmatic remedies for the shortcomings of stock market indices. For
views from the industry on its research, EDHEC surveyed European asset managers and investors and asked them for their opinions on the findings
of the research.

F. Goltz, G. Feng (2007), "Reactions to the EDHEC Study Assessing the Quality of Stock Market Indices", EDHEC Risk and Asset Management Research Centre, EDHEC Publication [more]

Faut-il subventionner la formation professionnelle des seniors ?

In a context of stubbornly high unemployment for less qualified workers, professional training can be an essential policy tool. The lifelong learning and social dialogue act of May 4, 2004, is a result of this government objective.

Arnaud Chéron (2007), " Faut-il subventionner la formation professionnelle des seniors ?", EDHEC Economics Research Centre, EDHEC Position Paper.
[more - in French]

ACADEMIC PUBLICATIONS

Latest publications

Revue française de Comptabilité

Philippe Touron & Philippe Foulquier (2007), "Consolidation : vers une réforme du modèle comptable ?"
[Texte intégral : PDF - 6 pages - 231 Ko - Revue Française de Comptabilité - in French - September 2007]

Over the last three years, EDHEC professors and researchers have published five articles in the journals on the list drawn up by the Financial Times for its renowned rankings of business schools. With these publications, EDHEC is among the top French contributors to this particular research ranking.

Management Science

Briec, W., Kerstens, K., Jokung, O. (2007), "Mean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach"
[Management Science, January 2007]

Review of Financial Studies

Cvitanic, J., Lazrak, A., Martellini, L., Zapatero, F. (2006), "Dynamic Portfolio Choice with Parameter Uncertainty and the Economic Value of Analysts’ Recommendations"
[Review of Financial Studies, November 2006]

Management International Review

Arrègle, J-L, Hébert, L., Beamish, P. (2006), "Mode of International Entry: The Advantages of Multilevel Methods"
[Management International Review, November 2006]

Management Science

Martellini, Lionel, Urošević, Branko (2006), "Static Mean-Variance Analysis with Uncertain Time Horizon"
[Management Science, June 2006]

Academy of Management Perspectives

Marcus Hurt, Stephanie Hurt (2005), "Transfer of managerial practices by French food retailers to operations in Poland"
[Academy of Management Perspectives, May 2005]

EVENTS

EDHEC Alternative Investment Days
November 20-21, 2007, The Brewery, London
Based on the success of its previous events and on the fast-growing demand for non-commercial and content-oriented conferences, the EDHEC Risk and Asset Management Research Centre will stage the third edition of the EDHEC Hedge Fund Days in London on 20 and 21 November 2007. This year's conference has been rebranded as the "EDHEC Alternative Investment Days" so as to encompass all the alternative asset classes.
[ more]

Labor Market Outcomes : A Transatlantic Perspective
January 11-12, 2008, La Maison de la Chimie, Paris - France
Co-organized with GAINS (Université du Maine), and with the support of ADRES (Association for the Development of Research in Economics and Statistics), this international conference will evaluate research on the differences in the performances of the European and US labor markets.
[more]

European Financial Management Symposium
April 17-19, 2008 - EDHEC Business School, Nice - France
The Symposium, jointly organised by the EFM Association and EDHEC Business School, will focus on all aspects of risk and asset management. Topics for the Symposium will include, but are not limited to asset allocation, risk and performance measurement, alternative investments, risk management and portfolio optimization.
[more]

EDHEC European Real Estate Investment and Risk Management Survey.
October 17, 2007 - Pavillon Gabriel, 5, avenue Gabriel - Paris
EDHEC and UFG Asset Management have partnered to present the results of a survey of European real estate investment practices and to organise a seminar aimed at French investors. [more - in French]

Alternative Betas & Hedge Fund Replication Seminar
October 16, 2007 - Grand Hyatt New York - New York.
This seminar took place in New York, October 16. Professor Lionel Martellini presented a novel approach to hedge fund investing and the associated techniques for identifying, measuring, and optimizing the beta benefits of hedge funds.

RESEARCH CENTRE

Marketing Research Centre - InteraCT

Research Centre seminar with Linda Scott
Linda Scott, professor of marketing at Oxford and internationally known for her work on advertising (several articles published in FT journals), took part in a seminar for the InteraCT Research Centre on Friday, October 12. Under discussion were strategies for publication in FT journals and the ongoing research themes of the team members (consumer ambivalence for Guergana Guintcheva, inter-generational influence for Sylvie Jean, behaviour at points of sale for Gaël Bonnin, and consumer identity for Lisa Peñaloza).

[More: InteraCT Research Centre]

Interview with Stéphane Gregoir
director of EDHEC's economics research centre

Could you talk to us about current research projects at the EDHEC Economics Research Centre?
The goal of the Centre is to do innovative and applied research that will highlight EDHEC’s expertise in fields of strategic interest to the French economy. Our research centres around two hubs: one on issues linked to the French welfare state—in particular issues linked to labour markets and to education—and the other on issues at the intersection of the economy and finance.

In 2007, during the debate on the so-called social VAT, EDHEC studied the macroeconomic and redistributive implications of an alternative measure known as TVA emploi, or pro-employment VAT. Furthermore, in another paper, it analysed the consequences of a uniform jobs contract. This work is illustrative of EDHEC’s examination of the French welfare state. We examine both the forms of financing that will ensure its continued existence and the reforms that must be made for greater efficiency and to guarantee lifelong equality of opportunity.

In a more global economy, the consensus in Europe today is to foster research and development and to favour quality higher education and lifelong learning. It is in this spirit then that our work deals with these matters, in particular with the financing of professional training and higher education. 

The Centre’s second hub concerns both economic and financial matters, for one, because financial decisions are always made with a view to the economic context and, for another, because financial tools and practices can sometimes describe or even help us to understand economic matters. Three research themes will be explored:

• Inflation: in an increasingly global economy, the rapid growth of China and India and the measures adopted to combat global warming or to mitigate the effects of financial crises are changing the dynamics of inflation. Different simplified mechanisms applied to the source of inflation will be studied and their influence evaluated. The interactions between the prices of certain assets and inflation will then be empirically examined.
  
  
• The price and risk measurement of real estate investments: real estate accounts for the bulk of the equity held by most households. It often takes the form of an owner-occupied house or apartment. The dynamics of the European labour market imply greater and greater mobility of human resources. This change adds a greater financial investment dimension to the housing investment decision. This dimension is already integral to the decisions of property firms. The price and the return on the asset are determinants. Gauging returns is nonetheless complex, because the price of the real estate asset, which is not very liquid and is subject to high transaction costs, is very sensitive to growth and contraction in the market. An associated risk-measurement tool would help participants in the market make their choices.
  
  
• The management of government debt:  we also plan to study the optimal composition—from the point of view of the Treasury—of debt issued (nominal bonds, indexed bonds, and so on) by a government that is fulfilling its sovereign mission and is ensuring redistribution over time. This is equivalent then to an extension of the standard optimal asset allocation and liability allocation models studied at company level by the EDHEC Risk and Asset Management Research Centre; the particular characteristics of a national government naturally make for changes.

Why did EDHEC join the public debate about the “social VAT” and the single labour contract, and why did it take such a strong stance against the “social VAT”?
EDHEC wants its research to bring new elements for reflection to the table. It is also a dimension of the evaluation of the relevance of its research. So EDHEC has chosen to communicate. The interest of both union and political leaders has shown that this work can give them food for thought and add to discussions of economic policy. The “social VAT”, in our analysis, would have modest effects in the long term but brings with it significant short-term inflationary risk. In view of the expected benefits, this policy seemed risky.

What makes the “pro-employment VAT” different from the “social VAT”?
The “pro-employment VAT” combines a reduction in the social charges paid by employees and a rise in the VAT, and with the play in the different sizes of tax bases it can increase the purchasing power of employees. Prices rises, but net salaries rise even more. In doing this, the “pro-employment VAT” returns to the notion of salary hierarchy and by increasing net salaries it favours the labour supply. It doesn’t change the cost of labour for business, unlike the “social VAT”, which reduces payroll taxes paid by employers. A comparison of the short- and long-term macroeconomic effects was done, assuming in both cases the indexation of minimum wages and benefits. As a result, the short-term inflationary risk of the “social VAT” was made clear. As for a “pro-employment VAT”, it would require coordination of both business and labour to ensure that the usual indexation methods do not add to the inflation caused by an increase in the VAT.

“Labor Market Outcomes: A Transatlantic Perspective”, a conference with the participation of the 2004 Nobel laureate Edward Prescott, is going to take place in Paris in early January 2008. What are the themes of the conference?
EDHEC is organising the conference together with the Université du Maine. It is part of an attempt to account for the differences observed between transatlantic and continental European labour markets. The role played by institutions and the different ways markets react to economic shocks will be illustrated. We will be hosting Edward Prescott, a 2004 Nobel laureate, as well as first-rank researchers such as Olivier Blanchard (MIT), Pierre Cahuc (Ecole Polytechnique and CREST), Fabien Postel-Vinay (University of Bristol), Víctor Ríos Rull (University of Pennsylvania), and Richard Rogerson (Arizona State University).

You joined EDHEC in mid-July of this year. What motivated your decision to take on the leadership of the Economics Research Centre?
Because of my education and my professional experience, I am interested in research that combines applied questions, rigorous analysis, and confrontation with reality. And this is also a prime interest of EDHEC. The idea of setting up a team of researchers, which I have done in the past, also interested me. Finally, I wanted to resume doing research in a dynamic environment with an international outlook.

[More : Economics Research Centre]

Stéphane Gregoir,
director of EDHEC's economics research centre.

NEWS
EDHEC publication on MiFID cited by the International Monetary Fund

The International Monetary Fund published on October, 1st a working paper by François Haas entitled "The Markets in Financial Instruments Directive: Banking on Market and Supervisory Efficiency". The Markets in Financial Instruments Directive (MiFID) which comes into effect on November 1, 2007, represents a major step toward the creation of a single, more competitive, cross-border securities market in Europe. Together with other components of the European Commission's Financial Services Action Plan, MiFID has the potential to significantly transform the provision of financial services and the functioning of capital markets in Europe.

Among the cited references, we note the presence of the position paper by Catherine D'Hondt and Jean-René Giraud "MiFID: the (in)famous European Directive?".

MORE

In the Media...

In October 2007, the sub-prime lending crisis was yet again an object of discussion, in part because of a study by Noël Amenc on the early lessons of this crisis. Also taken up the press was EDHEC’s proposal for a TVA Emploi (pro-employment VAT).

The centre LegalEDHEC was also in view, through its director, Christophe Roquilly, with an article in Les Échos on the strategic context for the launch of the iPhone.

In Les Échos as well was Cédric Manara, a professor affiliated with EDHEC, who discusses the first legal hitch during the rugby world cup; an alcohol producer that had sponsored the event was fined for failing to respect French law.

Also worth noting is the extensive media coverage of the latest edition of the EuroPerformance-EDHEC Alpha League Table, a ranking of the alpha produced by asset managers—that is, the return in excess of the expected return on a portfolio.

All EDHEC citations are available in the EDHEC Press Review.

Prizes, awards, and appointments...

Dr. Michel Verlaine appointed Business Research Director at the EDHEC Risk and Asset Management Research Centre
His research interests focus on portfolio optimisation and risk management, with a special emphasis on behaviour under uncertainty and statistical robustness, and his research in these areas has given rise to several articles and conference presentations. He is working notably on the elaboration of robust asset management solutions, and his current research concentrates on the robust pricing of CDOs.
[more : CV of Michel Verlaine- PDF]